mathEfrontRiskyMuCov: Efficient Frontier

In PCRA: Companion to Portfolio Construction and Risk Analysis

Efficient Frontier

Description

Computes a frontier or efficient frontier based on user specified mean vector and covariance matrix. Default is to compute the efficient frontier and plot it. Optionally the mean and volatility values of the frontier or efficient frontier is returned at a user specified number of significant digits.

Usage

mathEfrontRiskyMuCov(
  muRet,
  volRet,
  corrRet,
  npoints = 100,
  display = TRUE,
  efront.only = TRUE,
  values = FALSE,
  digits = NULL
)

Arguments

muRet	Numeric vector of asset mean returns
volRet	Numeric vector of asset standard deviations/volatilities
corrRet	Correlation matrix of asset returns
npoints	Integer number of points on efficient frontier, default 100
display	Logical variable, default TRUE
efront.only	Logical variable, default TRUE
values	Logical variable, default = FALSE
digits	Integer number of significant

Details

When efront.only = TRUE only the efficient frontier is computed, and if FALSE the entire frontier is computed. When value = TRUE the efficient frontier mean and volatility values are returned, and when value = FALSE these values are not returned.

Value

Plot of efficient frontier

Examples

args(mathEfrontRiskyMuCov)

PCRA documentation built on Aug. 30, 2023, 9:09 a.m.